Market Risk (MR)
The European Banking Authority (EBA) reporting for market risk is part of the Capital Requirements Regulation (CRR) framework, ensuring financial institutions effectively measure and manage risks related to market fluctuations. Market risk refers to the potential losses due to changes in interest rates, foreign exchange rates, equity prices, and commodity prices.
Under the EBA’s supervisory reporting framework, institutions subject to market risk must submit detailed reports via COREP (Common Reporting Framework). These reports include Standardised Approach (SA) and Internal Models Approach (IMA) calculations, covering risk-weighted assets, capital requirements, and sensitivities to market movements.
Key templates include:
- C 18.00 / 19.00 / 20.00 (MKR SA TDI) - SA for Interest Rate Risk
- C 21.00 (MKR SA EQU) - SA for Equity Risk
- C 22.00 (MKR SA FX) - SA for Foreign Exchange Risk
- C 23.00 (MKR SA COM) - SA for Commodities Risk
The Fundamental Review of the Trading Book (FRTB), integrated into CRR3, introduces Expected Shortfall (ES) instead of VaR and stricter eligibility rules for internal models.
EBA reporting ensures regulatory compliance, enhances risk transparency, and aligns EU banks with Basel III/IV standards. Firms must stay updated on evolving requirements to manage their market risk effectively. For further information, talk to our Suade specialists today!